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In this paper, we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coefficients as well… Click to show full abstract
In this paper, we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coefficients as well as accurate estimates on the remainders. Moreover, we perform a detailed numerical analysis, with accuracy comparisons, of the obtained results by means of the standard Monte Carlo technique as well as exploiting the Polynomial Chaos Expansion approach.
Keywords:
models arising;
finance;
volatility models;
local volatility;
arising finance
Journal Title: Decisions in Economics and Finance
Year Published: 2019
Link to full text (if available)
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Journal Title: Decisions in Economics and Finance
Year Published: 2019
Link to full text (if available)
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recommendations!